Asset Correlation & Beta Calculator
How your assets move together: correlation, beta and rolling correlation.
Try before you buy.
- Free preview: the correlation of your first two assets in full, with the first rows of each table (up to 3) and a watermarked chart; every other figure is hidden.
- Locked until you unlock it: download and copy.
- Unlock: Premium pass, ₹799 for 30 days, a one-time payment that never renews.
Ways to unlock shows how to get the full result.
Printing this result is locked in the free preview.
Your price files
How to compare them
Correlation matrix
From −1 (one rose when the other fell) through 0 to 1 (rose and fell together). Correlations change over time.
Each asset
Rolling correlation
Currency strength
How this was calculated
Locked in the free preview. Opens the ways to unlock this result.
Locked in the free preview. Batch runs unlock with a pass.
Locked in the free preview. Query results unlock with a pass.
For education only, not investment advice: no tool here tells you what to buy, sell or hold. Results use only the figures you enter, the files you load (read in your browser, never uploaded) and the published rules each page names. Check them against your broker's or exchange's own figures, and consider a licensed or registered adviser for advice on your situation.
About the Asset Correlation & Beta Calculator
Load the prices of 2 to 20 assets — one file per asset, or one file with a date column and a column per asset — and see how they moved together: the correlation matrix of their returns as a heatmap with the numbers, each asset’s beta against a benchmark you choose, the rolling correlation of any pair, and each asset’s average correlation with the others. Pearson correlation by default, Spearman on ranks as an option.
Prices are lined up by date: on the dates all files share, or with each price carried over gaps, and returns can be daily, weekly or monthly. Files of shares (trading days) and coins (every day) can be mixed: the tool says how many dates it used. For currency pairs it also works out each currency’s average change against the others in your set — the table is in alphabetical order, sorted by any column you pick.
Shares, funds, indices, futures, currency pairs and coins, from any market and in any currency. Your files are read in your browser and never uploaded. Correlations describe the period in your files and change over time.
How to use it
- From your broker, exchange or charting app, get the daily, weekly or monthly prices of each asset as CSV or Excel files — or one sheet with a column per asset — and choose them here, or try the sample of three fictional DEMO assets.
- Check the assets listed and their names; remove any you do not want.
- Choose how to line up dates, the return period, the rolling window, the benchmark for beta and the pair for the rolling chart; tick currency strength for currency pairs.
- Read the matrix, the betas and the rolling correlation, then copy the summary or download the figures and the aligned prices as a CSV — with a pass, or after unlocking this result.
Examples
A: DEMO-60 closes round(100 + 8·sin(t/2.5) + 0.15t, 4); B = round(50 + 0.5(A − 100) + 1.5·cos(1.3t), 4); 60 daily prices each
Correlation of simple returns 0.6394 · beta of B on A 0.9496 (sample statistics)
Spearman on ranks; rolling window of 20 returns
Spearman 0.6070 · rolling correlation at the last date 0.6692
EURUSD 1.1000 → 1.1200, GBPUSD 1.3000 → 1.2900, USDJPY 150.00 → 151.50
EUR +1.802% (from EURUSD) · GBP −0.772% · JPY −0.995% · USD the mean of −1.802%, +0.772% and +0.995%
Common uses
- Check how closely the holdings of your portfolio moved together over the last years.
- Work out the beta of a share against an index whose prices you exported.
- See how the correlation of two assets changed over time.
- Compare the average change of each currency in a set of currency pairs.
The formulas
- Returns: rₜ = Pₜ ÷ Pₜ₋₁ − 1 on the aligned prices (the last price of each week or month for weekly and monthly returns).
- Correlation (Pearson): ρ = cov(a, b) ÷ (σa × σb), with sample statistics (n − 1). Spearman: the same on the ranks of the returns, ties sharing their average rank.
- Beta of an asset against the benchmark m: β = cov(a, m) ÷ var(m).
- Rolling correlation: ρ over the last n returns at each date.
- Currency strength: for each currency, the mean over the pairs that contain it of ln(P_end ÷ P_start), counted + when it is the base currency and − when it is the quote currency (a rise in EURUSD is a rise of the euro against the dollar).
Correlation measures how returns moved together in a straight-line sense; a correlation of 0 does not mean the assets are unrelated, and a high one does not mean one moves the other.
Reading the results
- From −1 to 1: near 1, two assets’ returns rose and fell together; near −1, one rose when the other fell; near 0, no straight-line link over the period.
- Beta of 1.2 means the asset’s returns moved 1.2 times the benchmark’s on average over the period, in a straight-line fit.
- Carried prices (the second way of lining up dates) give a return of 0 on the dates an asset did not trade, which pulls its correlations towards 0. Common dates avoid that but use fewer prices.
- The rolling chart shows how much the correlation of one pair changed over your files’ period.
What it leaves out
Anything not in your files: dividends and splits unless the prices are adjusted, currency moves between assets priced in different currencies (each asset’s returns are in its own currency), and dates before the latest first date or after the earliest last one. Correlations change over time: past performance is not a reliable indicator of future results.
Limitations
- Between 2 and 20 assets; up to 50,000 rows a file.
- Each asset’s returns are in its own currency: convert the prices first to compare them in one currency.
- Correlations and betas describe the period of your files, not any other.
Privacy
Everything happens in your browser. What you enter or open here is not uploaded or stored by MySmartCoPilot.
Frequently asked questions
What do I get without a pass?
Without a pass, Asset Correlation & Beta Calculator shows the correlation of your first two assets in full, with the first rows of each table (up to 3) and a watermarked chart; every other figure is hidden. Until you unlock it, the result can’t be downloaded or copied. A Premium or Ultimate pass, a one-time payment that never renews, unlocks the full result. The pricing page lists the passes and their prices.
Which files can I load?
Any CSV or Excel file with a date column: either one asset’s prices (with a close or adjusted close column — named after the file), or a date column and one column of prices per asset (named by the column headers). Commas or semicolons, decimal commas and dates in any order are read.
Why are some dates left out?
With common dates, only the dates on which every asset has a price are used: shares do not trade at weekends and coins do, so the weekend prices of the coins are left out. Choose “carry prices over gaps” to keep every date instead; the tool then says how many prices were carried.
Pearson or Spearman?
Pearson measures how closely the returns lie on a straight line; Spearman does the same with their ranks, so a few very large moves weigh less. When the two differ a lot, it is often because a few big days drive the Pearson figure.
How is beta worked out?
Beta = the covariance of the asset’s returns with the benchmark’s, divided by the variance of the benchmark’s returns, over the same dates. Choose any of your assets as the benchmark — an index you exported, for example.
How does the currency strength table work?
For pairs named like EURUSD or EUR/USD, each currency’s change against the others is the average of its pairs’ log changes, counted positive when it is the base currency and negative when it is the quote. The table starts in alphabetical order; sort it by any column you choose.
Are my files uploaded?
No. They are read in your browser and nothing is sent to our server.